spb/wp7_uqo Public
UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.
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1test,x_causes_y,avg_f_stat,avg_p_value,pct_significant_5pct,n_tickers2ATM_IV → RV,iv_atm_30d → rv_daily,62.38106520233454,5.071267131906581e-06,1.0,693RV → ATM_IV,rv_daily → iv_atm_30d,17.93328431789441,0.15014524117017866,0.6086956521739131,694Skew → RV,iv_skew_25d → rv_daily,20.79185793640106,0.017692917026207195,0.9420289855072463,695RV → Skew,rv_daily → iv_skew_25d,6.589389745339387,0.06276398502636006,0.7536231884057971,696ATM_IV → Return,iv_atm_30d → daily_return,1.799392890104521,0.2687779841282898,0.2463768115942029,697Return → ATM_IV,daily_return → iv_atm_30d,3.9766915847902937,0.17413499102184476,0.5797101449275363,698Skew → Return,iv_skew_25d → daily_return,1.4117792320379194,0.3816573851754086,0.13043478260869565,699Return → Skew,daily_return → iv_skew_25d,13.575983727116334,0.01329845811411139,0.9565217391304348,6910PC_Ratio → Return,pc_volume_ratio → daily_return,1.0097282323014052,0.49989109436475865,0.057971014492753624,6911Return → PC_Ratio,daily_return → pc_volume_ratio,2.81884569035887,0.16377581135473343,0.463768115942029,6912Impl_Skew → RV,implied_skewness → rv_daily,1.3428309373629608,0.38563328915244494,0.17391304347826086,6913Impl_Kurt → RV,implied_kurtosis_proxy → rv_daily,5.6192779559291575,0.08610874071907583,0.7536231884057971,6914